As I was saving a file in TextEdit today, I needed to create a new folder. Since Cocoa applications use sheets for the Save dialog, I can create a new document with Command-N, just the same as when the Save dialog is not visible.
Consequently, I discovered that I can press Shift-Command-N to activate the New Folder button, just as I would when using the shortcut in the Finder. This saves a mouse movement to the New Folder button...
Mac OS X Hints
http://hints.macworld.com/article.php?story=20040130114545386